Preheat oven to 450 degrees. Spray cookie sheet with cooking spray.
Unfold and cut each puff pastry sheet into 4 sections and then each of those sections into 1 inch strips. (32 small strips all together)
Bake for 10 minutes or until golden brown.
While churros are baking, mix cinnamon and sugar in small bowl.
Remove churros from oven and dip in butter and then roll in cinnamon sugar mixture. Let cool on wire rack.
To make caramel apple dipping sauce, mix apple pie filling and caramel in small sauce pan. Cut apple chunks into smaller pieces with knife or whisk. I used my chop and stir tool.
Pour caramel apple dipping sauce into small bowl and serve with baked churro bites.